This is a summary of links featured on Quantocracy on Friday, 11/06/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Dividends An Illogical Preference [Larry Swedroe]A large body of literature examines whether managers of actively managed funds add value to their investors by generating abnormal returns. Unfortunately, not only do the vast majority fail to do so, but the evidence, as presented in my book, The Incredible Shrinking Alpha, demonstrates that the already-small percentage of managers able to beat their benchmarks has been diminishing at a
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Screening Using False-Discovery Rates [Alex Chinco]1. Motivating Example Jegadeesh and Titman (1993) show that, if you rank stocks according to their returns over the previous 12 months, then the past winners will outperform the past losers by 1.5{\scriptstyle \%} per month over the next 3 months. But, the authors dont just test this particular strategy. They also test strategies that rank stocks over the previous 3, 6, and 9 months and